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<a href="ekf_8h.html">Go to the documentation of this file.</a><div class="fragment"><div class="line"><a name="l00001"></a><span class="lineno">    1</span>&#160;<span class="comment">/* ekf.h</span></div>
<div class="line"><a name="l00002"></a><span class="lineno">    2</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00003"></a><span class="lineno">    3</span>&#160;<span class="comment"> * Copyright (C) 2011-2014 Jeremy Fix</span></div>
<div class="line"><a name="l00004"></a><span class="lineno">    4</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00005"></a><span class="lineno">    5</span>&#160;<span class="comment"> * This program is free software; you can redistribute it and/or modify</span></div>
<div class="line"><a name="l00006"></a><span class="lineno">    6</span>&#160;<span class="comment"> * it under the terms of the GNU General Public License as published by</span></div>
<div class="line"><a name="l00007"></a><span class="lineno">    7</span>&#160;<span class="comment"> * the Free Software Foundation; either version 3 of the License, or (at</span></div>
<div class="line"><a name="l00008"></a><span class="lineno">    8</span>&#160;<span class="comment"> * your option) any later version.</span></div>
<div class="line"><a name="l00009"></a><span class="lineno">    9</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00010"></a><span class="lineno">   10</span>&#160;<span class="comment"> * This program is distributed in the hope that it will be useful, but</span></div>
<div class="line"><a name="l00011"></a><span class="lineno">   11</span>&#160;<span class="comment"> * WITHOUT ANY WARRANTY; without even the implied warranty of</span></div>
<div class="line"><a name="l00012"></a><span class="lineno">   12</span>&#160;<span class="comment"> * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU</span></div>
<div class="line"><a name="l00013"></a><span class="lineno">   13</span>&#160;<span class="comment"> * General Public License for more details.</span></div>
<div class="line"><a name="l00014"></a><span class="lineno">   14</span>&#160;<span class="comment"> * </span></div>
<div class="line"><a name="l00015"></a><span class="lineno">   15</span>&#160;<span class="comment"> * You should have received a copy of the GNU General Public License</span></div>
<div class="line"><a name="l00016"></a><span class="lineno">   16</span>&#160;<span class="comment"> * along with this program; if not, write to the Free Software</span></div>
<div class="line"><a name="l00017"></a><span class="lineno">   17</span>&#160;<span class="comment"> * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.</span></div>
<div class="line"><a name="l00018"></a><span class="lineno">   18</span>&#160;<span class="comment"> */</span></div>
<div class="line"><a name="l00019"></a><span class="lineno">   19</span>&#160;</div>
<div class="line"><a name="l00020"></a><span class="lineno">   20</span>&#160;<span class="preprocessor">#ifndef EKF_H</span></div>
<div class="line"><a name="l00021"></a><span class="lineno">   21</span>&#160;<span class="preprocessor"></span><span class="preprocessor">#define EKF_H</span></div>
<div class="line"><a name="l00022"></a><span class="lineno">   22</span>&#160;<span class="preprocessor"></span></div>
<div class="line"><a name="l00023"></a><span class="lineno">   23</span>&#160;<span class="preprocessor">#include &quot;<a class="code" href="ekf__types_8h.html">ekf_types.h</a>&quot;</span></div>
<div class="line"><a name="l00024"></a><span class="lineno">   24</span>&#160;<span class="preprocessor">#include &lt;gsl/gsl_vector.h&gt;</span></div>
<div class="line"><a name="l00025"></a><span class="lineno">   25</span>&#160;<span class="preprocessor">#include &lt;gsl/gsl_matrix.h&gt;</span></div>
<div class="line"><a name="l00026"></a><span class="lineno">   26</span>&#160;<span class="preprocessor">#include &lt;gsl/gsl_blas.h&gt;</span></div>
<div class="line"><a name="l00027"></a><span class="lineno">   27</span>&#160;</div>
<div class="line"><a name="l00028"></a><span class="lineno"><a class="line" href="namespaceekf.html">   28</a></span>&#160;<span class="keyword">namespace </span>ekf</div>
<div class="line"><a name="l00029"></a><span class="lineno">   29</span>&#160;{</div>
<div class="line"><a name="l00030"></a><span class="lineno">   30</span>&#160;</div>
<div class="line"><a name="l00031"></a><span class="lineno"><a class="line" href="namespaceekf.html#a11045811ee6b53e5676adcb4829445de">   31</a></span>&#160;  <span class="keywordtype">void</span> <a class="code" href="namespaceekf.html#a11045811ee6b53e5676adcb4829445de">ekf_init</a>(<a class="code" href="structekf_1_1ekf__param.html">ekf_param</a> &amp;p, <a class="code" href="structekf_1_1ekf__state.html">ekf_state</a> &amp;s)</div>
<div class="line"><a name="l00032"></a><span class="lineno">   32</span>&#160;  {</div>
<div class="line"><a name="l00033"></a><span class="lineno">   33</span>&#160;</div>
<div class="line"><a name="l00034"></a><span class="lineno">   34</span>&#160;    <span class="comment">// Matrices for the state</span></div>
<div class="line"><a name="l00035"></a><span class="lineno">   35</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">xk</a> = gsl_vector_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00036"></a><span class="lineno">   36</span>&#160;    gsl_vector_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">xk</a>);</div>
<div class="line"><a name="l00037"></a><span class="lineno">   37</span>&#160;</div>
<div class="line"><a name="l00038"></a><span class="lineno">   38</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">xkm</a> = gsl_vector_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00039"></a><span class="lineno">   39</span>&#160;    gsl_vector_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">xkm</a>);</div>
<div class="line"><a name="l00040"></a><span class="lineno">   40</span>&#160;</div>
<div class="line"><a name="l00041"></a><span class="lineno">   41</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00042"></a><span class="lineno">   42</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>);</div>
<div class="line"><a name="l00043"></a><span class="lineno">   43</span>&#160;</div>
<div class="line"><a name="l00044"></a><span class="lineno">   44</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#aee938384595b322d411277e1dda54d2e">Fxk</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00045"></a><span class="lineno">   45</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#aee938384595b322d411277e1dda54d2e">Fxk</a>);</div>
<div class="line"><a name="l00046"></a><span class="lineno">   46</span>&#160;</div>
<div class="line"><a name="l00047"></a><span class="lineno">   47</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a73bd94df09b3ffaed5e07552e1d605db">Rv</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00048"></a><span class="lineno">   48</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a73bd94df09b3ffaed5e07552e1d605db">Rv</a>);</div>
<div class="line"><a name="l00049"></a><span class="lineno">   49</span>&#160;</div>
<div class="line"><a name="l00050"></a><span class="lineno">   50</span>&#160;    <span class="comment">// Matrices for the observations</span></div>
<div class="line"><a name="l00051"></a><span class="lineno">   51</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a70ebe0b19856b1846cb3a1500478824e">yk</a> = gsl_vector_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>);</div>
<div class="line"><a name="l00052"></a><span class="lineno">   52</span>&#160;    gsl_vector_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a70ebe0b19856b1846cb3a1500478824e">yk</a>);</div>
<div class="line"><a name="l00053"></a><span class="lineno">   53</span>&#160;</div>
<div class="line"><a name="l00054"></a><span class="lineno">   54</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#afed1bd13d00d799ebe5e3d7d7fbb51ae">ino_yk</a> = gsl_vector_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>);</div>
<div class="line"><a name="l00055"></a><span class="lineno">   55</span>&#160;    gsl_vector_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#afed1bd13d00d799ebe5e3d7d7fbb51ae">ino_yk</a>);</div>
<div class="line"><a name="l00056"></a><span class="lineno">   56</span>&#160;</div>
<div class="line"><a name="l00057"></a><span class="lineno">   57</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00058"></a><span class="lineno">   58</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>);</div>
<div class="line"><a name="l00059"></a><span class="lineno">   59</span>&#160;</div>
<div class="line"><a name="l00060"></a><span class="lineno">   60</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">Rn</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>);</div>
<div class="line"><a name="l00061"></a><span class="lineno">   61</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">Rn</a>);</div>
<div class="line"><a name="l00062"></a><span class="lineno">   62</span>&#160;</div>
<div class="line"><a name="l00063"></a><span class="lineno">   63</span>&#160;    <span class="comment">// Matrices for the kalman gain and the updates</span></div>
<div class="line"><a name="l00064"></a><span class="lineno">   64</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>);</div>
<div class="line"><a name="l00065"></a><span class="lineno">   65</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a>);</div>
<div class="line"><a name="l00066"></a><span class="lineno">   66</span>&#160;</div>
<div class="line"><a name="l00067"></a><span class="lineno">   67</span>&#160;    <span class="comment">// Temporary matrices</span></div>
<div class="line"><a name="l00068"></a><span class="lineno">   68</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00069"></a><span class="lineno">   69</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>);</div>
<div class="line"><a name="l00070"></a><span class="lineno">   70</span>&#160;</div>
<div class="line"><a name="l00071"></a><span class="lineno">   71</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a99c2af66b30729d245ba9e1195140323">temp_n_1</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, 1);</div>
<div class="line"><a name="l00072"></a><span class="lineno">   72</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a99c2af66b30729d245ba9e1195140323">temp_n_1</a>);</div>
<div class="line"><a name="l00073"></a><span class="lineno">   73</span>&#160;</div>
<div class="line"><a name="l00074"></a><span class="lineno">   74</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>);</div>
<div class="line"><a name="l00075"></a><span class="lineno">   75</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>);</div>
<div class="line"><a name="l00076"></a><span class="lineno">   76</span>&#160;</div>
<div class="line"><a name="l00077"></a><span class="lineno">   77</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>);</div>
<div class="line"><a name="l00078"></a><span class="lineno">   78</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>);</div>
<div class="line"><a name="l00079"></a><span class="lineno">   79</span>&#160;</div>
<div class="line"><a name="l00080"></a><span class="lineno">   80</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#a1a9bed9ae078cd39f59bf1f7336d06cf">temp_2_n_n</a> = gsl_matrix_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>);</div>
<div class="line"><a name="l00081"></a><span class="lineno">   81</span>&#160;    gsl_matrix_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#a1a9bed9ae078cd39f59bf1f7336d06cf">temp_2_n_n</a>);</div>
<div class="line"><a name="l00082"></a><span class="lineno">   82</span>&#160;</div>
<div class="line"><a name="l00083"></a><span class="lineno">   83</span>&#160;    s.<a class="code" href="structekf_1_1ekf__state.html#ac7734ea76c5973de7f4e76ea8d8757d8">temp_no</a> = gsl_vector_alloc(p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>);</div>
<div class="line"><a name="l00084"></a><span class="lineno">   84</span>&#160;    gsl_vector_set_zero(s.<a class="code" href="structekf_1_1ekf__state.html#ac7734ea76c5973de7f4e76ea8d8757d8">temp_no</a>);</div>
<div class="line"><a name="l00085"></a><span class="lineno">   85</span>&#160;</div>
<div class="line"><a name="l00086"></a><span class="lineno">   86</span>&#160;    <span class="comment">// Initialize the noises</span></div>
<div class="line"><a name="l00087"></a><span class="lineno">   87</span>&#160;    <span class="comment">//gsl_matrix_set_identity(s.Rv);</span></div>
<div class="line"><a name="l00088"></a><span class="lineno">   88</span>&#160;    <span class="comment">//gsl_matrix_scale(s.Rv, p.evolution_noise);</span></div>
<div class="line"><a name="l00089"></a><span class="lineno">   89</span>&#160;    p.<a class="code" href="structekf_1_1ekf__param.html#a9b71dc086b83e78c78f6258ce19fafb4">evolution_noise</a>-&gt;<a class="code" href="classekf_1_1EvolutionNoise.html#a9513f65f9a322f8ffcbf2c568526dd15">init</a>(p, s);</div>
<div class="line"><a name="l00090"></a><span class="lineno">   90</span>&#160;    <span class="comment">//printf(&quot;Evolution noise : max = %e , min = %e \n&quot;, gsl_matrix_max(s.Rv), gsl_matrix_min(s.Rv));</span></div>
<div class="line"><a name="l00091"></a><span class="lineno">   91</span>&#160;</div>
<div class="line"><a name="l00092"></a><span class="lineno">   92</span>&#160;    gsl_matrix_set_identity(s.<a class="code" href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">Rn</a>);</div>
<div class="line"><a name="l00093"></a><span class="lineno">   93</span>&#160;    gsl_matrix_scale(s.<a class="code" href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">Rn</a>, p.<a class="code" href="structekf_1_1ekf__param.html#a931255569a953be75868b7ef098ff310">observation_noise</a>);</div>
<div class="line"><a name="l00094"></a><span class="lineno">   94</span>&#160;</div>
<div class="line"><a name="l00095"></a><span class="lineno">   95</span>&#160;    <span class="comment">// Initialize the covariance of the parameters</span></div>
<div class="line"><a name="l00096"></a><span class="lineno">   96</span>&#160;    gsl_matrix_set_identity(s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>);</div>
<div class="line"><a name="l00097"></a><span class="lineno">   97</span>&#160;    gsl_matrix_scale(s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, p.<a class="code" href="structekf_1_1ekf__param.html#afc3c7b95fe943c99c49e7b0c5703de68">prior_pk</a>);</div>
<div class="line"><a name="l00098"></a><span class="lineno">   98</span>&#160;</div>
<div class="line"><a name="l00099"></a><span class="lineno">   99</span>&#160;  }</div>
<div class="line"><a name="l00100"></a><span class="lineno">  100</span>&#160;</div>
<div class="line"><a name="l00101"></a><span class="lineno"><a class="line" href="namespaceekf.html#ad089f09f2d932343f311b16d414c1c6b">  101</a></span>&#160;  <span class="keywordtype">void</span> <a class="code" href="namespaceekf.html#ad089f09f2d932343f311b16d414c1c6b">ekf_free</a>(<a class="code" href="structekf_1_1ekf__param.html">ekf_param</a> &amp;p, <a class="code" href="structekf_1_1ekf__state.html">ekf_state</a> &amp;s)</div>
<div class="line"><a name="l00102"></a><span class="lineno">  102</span>&#160;  {</div>
<div class="line"><a name="l00103"></a><span class="lineno">  103</span>&#160;    gsl_vector_free(s.<a class="code" href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">xk</a>);</div>
<div class="line"><a name="l00104"></a><span class="lineno">  104</span>&#160;    gsl_vector_free(s.<a class="code" href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">xkm</a>);</div>
<div class="line"><a name="l00105"></a><span class="lineno">  105</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>);</div>
<div class="line"><a name="l00106"></a><span class="lineno">  106</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#aee938384595b322d411277e1dda54d2e">Fxk</a>);</div>
<div class="line"><a name="l00107"></a><span class="lineno">  107</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#a73bd94df09b3ffaed5e07552e1d605db">Rv</a>);</div>
<div class="line"><a name="l00108"></a><span class="lineno">  108</span>&#160;</div>
<div class="line"><a name="l00109"></a><span class="lineno">  109</span>&#160;    gsl_vector_free(s.<a class="code" href="structekf_1_1ekf__state.html#a70ebe0b19856b1846cb3a1500478824e">yk</a>);</div>
<div class="line"><a name="l00110"></a><span class="lineno">  110</span>&#160;    gsl_vector_free(s.<a class="code" href="structekf_1_1ekf__state.html#afed1bd13d00d799ebe5e3d7d7fbb51ae">ino_yk</a>);</div>
<div class="line"><a name="l00111"></a><span class="lineno">  111</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>);</div>
<div class="line"><a name="l00112"></a><span class="lineno">  112</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">Rn</a>);</div>
<div class="line"><a name="l00113"></a><span class="lineno">  113</span>&#160;</div>
<div class="line"><a name="l00114"></a><span class="lineno">  114</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a>);</div>
<div class="line"><a name="l00115"></a><span class="lineno">  115</span>&#160;</div>
<div class="line"><a name="l00116"></a><span class="lineno">  116</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>);</div>
<div class="line"><a name="l00117"></a><span class="lineno">  117</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#a99c2af66b30729d245ba9e1195140323">temp_n_1</a>);</div>
<div class="line"><a name="l00118"></a><span class="lineno">  118</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>);</div>
<div class="line"><a name="l00119"></a><span class="lineno">  119</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>);</div>
<div class="line"><a name="l00120"></a><span class="lineno">  120</span>&#160;    gsl_matrix_free(s.<a class="code" href="structekf_1_1ekf__state.html#a1a9bed9ae078cd39f59bf1f7336d06cf">temp_2_n_n</a>);</div>
<div class="line"><a name="l00121"></a><span class="lineno">  121</span>&#160;    gsl_vector_free(s.<a class="code" href="structekf_1_1ekf__state.html#ac7734ea76c5973de7f4e76ea8d8757d8">temp_no</a>);</div>
<div class="line"><a name="l00122"></a><span class="lineno">  122</span>&#160;  }</div>
<div class="line"><a name="l00123"></a><span class="lineno">  123</span>&#160;</div>
<div class="line"><a name="l00124"></a><span class="lineno">  124</span>&#160;  <span class="keyword">template</span> &lt;<span class="keyword">typename</span> FunctProcess, <span class="keyword">typename</span> JacobianProcess, <span class="keyword">typename</span> FunctObservation, <span class="keyword">typename</span> JacobianObservation&gt;</div>
<div class="line"><a name="l00125"></a><span class="lineno"><a class="line" href="namespaceekf.html#a59a2f5e87de993d4320c6c2492ab03f1">  125</a></span>&#160;    <span class="keywordtype">void</span> <a class="code" href="namespaceekf.html#a59a2f5e87de993d4320c6c2492ab03f1">ekf_iterate</a>(<a class="code" href="structekf_1_1ekf__param.html">ekf_param</a> &amp;p, <a class="code" href="structekf_1_1ekf__state.html">ekf_state</a> &amp;s, FunctProcess f, JacobianProcess df, FunctObservation h, JacobianObservation dh, gsl_vector* yk)</div>
<div class="line"><a name="l00126"></a><span class="lineno">  126</span>&#160;  {</div>
<div class="line"><a name="l00127"></a><span class="lineno">  127</span>&#160;    <span class="comment">/****************************/</span></div>
<div class="line"><a name="l00128"></a><span class="lineno">  128</span>&#160;    <span class="comment">/***** Prediction step  *****/</span></div>
<div class="line"><a name="l00129"></a><span class="lineno">  129</span>&#160;    <span class="comment">/****************************/</span></div>
<div class="line"><a name="l00130"></a><span class="lineno">  130</span>&#160;</div>
<div class="line"><a name="l00131"></a><span class="lineno">  131</span>&#160;    <span class="comment">// Compute the Jacobian of the evolution</span></div>
<div class="line"><a name="l00132"></a><span class="lineno">  132</span>&#160;    <span class="comment">// Eq. 2.34</span></div>
<div class="line"><a name="l00133"></a><span class="lineno">  133</span>&#160;    df(s.<a class="code" href="structekf_1_1ekf__state.html#abe2839dd3805e4dd56c613227788606f">params</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">xk</a>,s.<a class="code" href="structekf_1_1ekf__state.html#aee938384595b322d411277e1dda54d2e">Fxk</a>);</div>
<div class="line"><a name="l00134"></a><span class="lineno">  134</span>&#160;</div>
<div class="line"><a name="l00135"></a><span class="lineno">  135</span>&#160;    <span class="comment">// Compute the predicted state mean and covariance</span></div>
<div class="line"><a name="l00136"></a><span class="lineno">  136</span>&#160;    <span class="comment">// Eq. 2.36</span></div>
<div class="line"><a name="l00137"></a><span class="lineno">  137</span>&#160;    <span class="comment">// s.xk will now hold the predicted state !</span></div>
<div class="line"><a name="l00138"></a><span class="lineno">  138</span>&#160;    f(s.<a class="code" href="structekf_1_1ekf__state.html#abe2839dd3805e4dd56c613227788606f">params</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">xk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">xkm</a>);</div>
<div class="line"><a name="l00139"></a><span class="lineno">  139</span>&#160;</div>
<div class="line"><a name="l00140"></a><span class="lineno">  140</span>&#160;    <span class="comment">// Eq. 2.37</span></div>
<div class="line"><a name="l00141"></a><span class="lineno">  141</span>&#160;    <span class="comment">// s.Pxk will now hold Pxk^-</span></div>
<div class="line"><a name="l00142"></a><span class="lineno">  142</span>&#160;    gsl_blas_dgemm(CblasNoTrans, CblasTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#aee938384595b322d411277e1dda54d2e">Fxk</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>);</div>
<div class="line"><a name="l00143"></a><span class="lineno">  143</span>&#160;    gsl_blas_dgemm(CblasNoTrans, CblasNoTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#aee938384595b322d411277e1dda54d2e">Fxk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>);</div>
<div class="line"><a name="l00144"></a><span class="lineno">  144</span>&#160;    gsl_matrix_add(s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a73bd94df09b3ffaed5e07552e1d605db">Rv</a>);</div>
<div class="line"><a name="l00145"></a><span class="lineno">  145</span>&#160;</div>
<div class="line"><a name="l00146"></a><span class="lineno">  146</span>&#160;    <span class="comment">/****************************/</span></div>
<div class="line"><a name="l00147"></a><span class="lineno">  147</span>&#160;    <span class="comment">/***** Correction step  *****/</span></div>
<div class="line"><a name="l00148"></a><span class="lineno">  148</span>&#160;    <span class="comment">/****************************/</span></div>
<div class="line"><a name="l00149"></a><span class="lineno">  149</span>&#160;</div>
<div class="line"><a name="l00150"></a><span class="lineno">  150</span>&#160;    <span class="comment">// Compute the Jacobian of the observation model</span></div>
<div class="line"><a name="l00151"></a><span class="lineno">  151</span>&#160;    <span class="comment">// Eq. 2.38</span></div>
<div class="line"><a name="l00152"></a><span class="lineno">  152</span>&#160;    dh(s.<a class="code" href="structekf_1_1ekf__state.html#abe2839dd3805e4dd56c613227788606f">params</a>, s.<a class="code" href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">xkm</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>);</div>
<div class="line"><a name="l00153"></a><span class="lineno">  153</span>&#160;</div>
<div class="line"><a name="l00154"></a><span class="lineno">  154</span>&#160;    <span class="keywordflow">if</span>(!p.<a class="code" href="structekf_1_1ekf__param.html#a8e3a67547cde4646e17689a669fb25bc">observation_gradient_is_diagonal</a>)</div>
<div class="line"><a name="l00155"></a><span class="lineno">  155</span>&#160;      {</div>
<div class="line"><a name="l00156"></a><span class="lineno">  156</span>&#160;        <span class="comment">// Update the estimates</span></div>
<div class="line"><a name="l00157"></a><span class="lineno">  157</span>&#160;        <span class="comment">// Eq 2.40</span></div>
<div class="line"><a name="l00158"></a><span class="lineno">  158</span>&#160;        <span class="comment">// 1 - Compute H.P^-.H^T + Rn</span></div>
<div class="line"><a name="l00159"></a><span class="lineno">  159</span>&#160;        gsl_blas_dgemm(CblasNoTrans, CblasTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>);</div>
<div class="line"><a name="l00160"></a><span class="lineno">  160</span>&#160;        gsl_blas_dgemm(CblasNoTrans, CblasNoTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>);</div>
<div class="line"><a name="l00161"></a><span class="lineno">  161</span>&#160;        gsl_matrix_add(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>, s.<a class="code" href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">Rn</a>);</div>
<div class="line"><a name="l00162"></a><span class="lineno">  162</span>&#160;        <span class="comment">// 2 - Compute its inverse</span></div>
<div class="line"><a name="l00163"></a><span class="lineno">  163</span>&#160;        gsl_linalg_cholesky_decomp(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>);</div>
<div class="line"><a name="l00164"></a><span class="lineno">  164</span>&#160;        gsl_linalg_cholesky_invert(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>);</div>
<div class="line"><a name="l00165"></a><span class="lineno">  165</span>&#160;</div>
<div class="line"><a name="l00166"></a><span class="lineno">  166</span>&#160;        <span class="comment">// 3 - Compute P^-.H ^T.( H P H^T + R)^-1</span></div>
<div class="line"><a name="l00167"></a><span class="lineno">  167</span>&#160;        gsl_blas_dgemm(CblasTrans, CblasNoTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>);</div>
<div class="line"><a name="l00168"></a><span class="lineno">  168</span>&#160;        gsl_blas_dgemm(CblasNoTrans, CblasNoTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a>);</div>
<div class="line"><a name="l00169"></a><span class="lineno">  169</span>&#160;      }</div>
<div class="line"><a name="l00170"></a><span class="lineno">  170</span>&#160;    <span class="keywordflow">else</span></div>
<div class="line"><a name="l00171"></a><span class="lineno">  171</span>&#160;      {</div>
<div class="line"><a name="l00172"></a><span class="lineno">  172</span>&#160;        <span class="comment">// We can make some simplifications when computing H P H^T = H P H</span></div>
<div class="line"><a name="l00173"></a><span class="lineno">  173</span>&#160;        <span class="comment">// and also when computing P . H . (H P H^T + R) ^-1</span></div>
<div class="line"><a name="l00174"></a><span class="lineno">  174</span>&#160;</div>
<div class="line"><a name="l00175"></a><span class="lineno">  175</span>&#160;        <span class="comment">// Update the estimates</span></div>
<div class="line"><a name="l00176"></a><span class="lineno">  176</span>&#160;        <span class="comment">// Eq 2.40</span></div>
<div class="line"><a name="l00177"></a><span class="lineno">  177</span>&#160;        <span class="comment">// 1 - Compute H.P^-.H^T + Rn</span></div>
<div class="line"><a name="l00178"></a><span class="lineno">  178</span>&#160;        <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a> ; ++i)</div>
<div class="line"><a name="l00179"></a><span class="lineno">  179</span>&#160;          {</div>
<div class="line"><a name="l00180"></a><span class="lineno">  180</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a> ; ++j)</div>
<div class="line"><a name="l00181"></a><span class="lineno">  181</span>&#160;              {</div>
<div class="line"><a name="l00182"></a><span class="lineno">  182</span>&#160;                gsl_matrix_set(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>, i, j, gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, i, i) * gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, j, j) * gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, i, j) + gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">Rn</a>, i, j));</div>
<div class="line"><a name="l00183"></a><span class="lineno">  183</span>&#160;              }</div>
<div class="line"><a name="l00184"></a><span class="lineno">  184</span>&#160;          }</div>
<div class="line"><a name="l00185"></a><span class="lineno">  185</span>&#160;        <span class="comment">// Compute its inverse : U = (H P H^T + R) ^-1</span></div>
<div class="line"><a name="l00186"></a><span class="lineno">  186</span>&#160;        gsl_linalg_cholesky_decomp(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>);</div>
<div class="line"><a name="l00187"></a><span class="lineno">  187</span>&#160;        gsl_linalg_cholesky_invert(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>);</div>
<div class="line"><a name="l00188"></a><span class="lineno">  188</span>&#160;</div>
<div class="line"><a name="l00189"></a><span class="lineno">  189</span>&#160;        <span class="comment">// 3 - Compute P^- H^T . U</span></div>
<div class="line"><a name="l00190"></a><span class="lineno">  190</span>&#160;</div>
<div class="line"><a name="l00191"></a><span class="lineno">  191</span>&#160;        <span class="comment">// Compute H^T . U</span></div>
<div class="line"><a name="l00192"></a><span class="lineno">  192</span>&#160;        <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a>; ++i)</div>
<div class="line"><a name="l00193"></a><span class="lineno">  193</span>&#160;          <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a> ; ++j)</div>
<div class="line"><a name="l00194"></a><span class="lineno">  194</span>&#160;            gsl_matrix_set(s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>, i, j, gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, i,i) * gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">temp_no_no</a>, i, j));</div>
<div class="line"><a name="l00195"></a><span class="lineno">  195</span>&#160;        <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a> ; i &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a>; ++i)</div>
<div class="line"><a name="l00196"></a><span class="lineno">  196</span>&#160;          <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a> ; ++j)</div>
<div class="line"><a name="l00197"></a><span class="lineno">  197</span>&#160;            gsl_matrix_set(s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>, i, j, 0.0);</div>
<div class="line"><a name="l00198"></a><span class="lineno">  198</span>&#160;        <span class="comment">// Compute P^- . (H^T . U)</span></div>
<div class="line"><a name="l00199"></a><span class="lineno">  199</span>&#160;        gsl_blas_dgemm(CblasNoTrans, CblasNoTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">temp_n_no</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a>);</div>
<div class="line"><a name="l00200"></a><span class="lineno">  200</span>&#160;</div>
<div class="line"><a name="l00201"></a><span class="lineno">  201</span>&#160;      }</div>
<div class="line"><a name="l00202"></a><span class="lineno">  202</span>&#160;    <span class="comment">// Update the current estimate</span></div>
<div class="line"><a name="l00203"></a><span class="lineno">  203</span>&#160;    <span class="comment">// Eq 2.41</span></div>
<div class="line"><a name="l00204"></a><span class="lineno">  204</span>&#160;    <span class="comment">// 1 - We need the observations</span></div>
<div class="line"><a name="l00205"></a><span class="lineno">  205</span>&#160;    h(s.<a class="code" href="structekf_1_1ekf__state.html#abe2839dd3805e4dd56c613227788606f">params</a>, s.<a class="code" href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">xkm</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a70ebe0b19856b1846cb3a1500478824e">yk</a>);</div>
<div class="line"><a name="l00206"></a><span class="lineno">  206</span>&#160;    gsl_vector_memcpy(s.<a class="code" href="structekf_1_1ekf__state.html#afed1bd13d00d799ebe5e3d7d7fbb51ae">ino_yk</a>, yk);</div>
<div class="line"><a name="l00207"></a><span class="lineno">  207</span>&#160;    gsl_vector_sub(s.<a class="code" href="structekf_1_1ekf__state.html#afed1bd13d00d799ebe5e3d7d7fbb51ae">ino_yk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a70ebe0b19856b1846cb3a1500478824e">yk</a>);</div>
<div class="line"><a name="l00208"></a><span class="lineno">  208</span>&#160;    gsl_vector_memcpy(s.<a class="code" href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">xk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">xkm</a>);</div>
<div class="line"><a name="l00209"></a><span class="lineno">  209</span>&#160;    gsl_blas_dgemv(CblasNoTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#afed1bd13d00d799ebe5e3d7d7fbb51ae">ino_yk</a>, 1.0,s.<a class="code" href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">xk</a>);</div>
<div class="line"><a name="l00210"></a><span class="lineno">  210</span>&#160;</div>
<div class="line"><a name="l00211"></a><span class="lineno">  211</span>&#160;    <span class="comment">// Update the variance/covariance matrix</span></div>
<div class="line"><a name="l00212"></a><span class="lineno">  212</span>&#160;    <span class="comment">// Compute  -Kk * Hk</span></div>
<div class="line"><a name="l00213"></a><span class="lineno">  213</span>&#160;    <span class="keywordflow">if</span>(!p.<a class="code" href="structekf_1_1ekf__param.html#a8e3a67547cde4646e17689a669fb25bc">observation_gradient_is_diagonal</a>)</div>
<div class="line"><a name="l00214"></a><span class="lineno">  214</span>&#160;      {</div>
<div class="line"><a name="l00215"></a><span class="lineno">  215</span>&#160;        gsl_blas_dgemm(CblasNoTrans, CblasNoTrans, -1.0, s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>);</div>
<div class="line"><a name="l00216"></a><span class="lineno">  216</span>&#160;</div>
<div class="line"><a name="l00217"></a><span class="lineno">  217</span>&#160;        <span class="comment">// Add identity : I - Kk * Hk</span></div>
<div class="line"><a name="l00218"></a><span class="lineno">  218</span>&#160;        <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a> ; ++i)</div>
<div class="line"><a name="l00219"></a><span class="lineno">  219</span>&#160;          gsl_matrix_set(s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>, i, i,gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>,i,i) + 1.0);</div>
<div class="line"><a name="l00220"></a><span class="lineno">  220</span>&#160;      }</div>
<div class="line"><a name="l00221"></a><span class="lineno">  221</span>&#160;    <span class="keywordflow">else</span></div>
<div class="line"><a name="l00222"></a><span class="lineno">  222</span>&#160;      {</div>
<div class="line"><a name="l00223"></a><span class="lineno">  223</span>&#160;        <span class="comment">// We can make some simplifications when H is diagonal</span></div>
<div class="line"><a name="l00224"></a><span class="lineno">  224</span>&#160;        <span class="keywordflow">for</span>(<span class="keywordtype">int</span> i = 0 ; i &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a> ; ++i)</div>
<div class="line"><a name="l00225"></a><span class="lineno">  225</span>&#160;          {</div>
<div class="line"><a name="l00226"></a><span class="lineno">  226</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = 0 ; j &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a> ; ++j)</div>
<div class="line"><a name="l00227"></a><span class="lineno">  227</span>&#160;              {</div>
<div class="line"><a name="l00228"></a><span class="lineno">  228</span>&#160;                gsl_matrix_set(s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>, i, j, (i==j?1.0:0.0) - gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">Kk</a>, i,j) * gsl_matrix_get(s.<a class="code" href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">Hyk</a>, j,j) );</div>
<div class="line"><a name="l00229"></a><span class="lineno">  229</span>&#160;              }</div>
<div class="line"><a name="l00230"></a><span class="lineno">  230</span>&#160;            <span class="keywordflow">for</span>(<span class="keywordtype">int</span> j = p.<a class="code" href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">no</a> ; j &lt; p.<a class="code" href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">n</a> ; ++j)</div>
<div class="line"><a name="l00231"></a><span class="lineno">  231</span>&#160;              {</div>
<div class="line"><a name="l00232"></a><span class="lineno">  232</span>&#160;                gsl_matrix_set(s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>, i, j, (i == j ? 1.0 : 0.0));</div>
<div class="line"><a name="l00233"></a><span class="lineno">  233</span>&#160;              }</div>
<div class="line"><a name="l00234"></a><span class="lineno">  234</span>&#160;          }</div>
<div class="line"><a name="l00235"></a><span class="lineno">  235</span>&#160;      }</div>
<div class="line"><a name="l00236"></a><span class="lineno">  236</span>&#160;</div>
<div class="line"><a name="l00237"></a><span class="lineno">  237</span>&#160;    gsl_blas_dgemm(CblasNoTrans, CblasNoTrans, 1.0, s.<a class="code" href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">temp_n_n</a>, s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, 0.0, s.<a class="code" href="structekf_1_1ekf__state.html#a1a9bed9ae078cd39f59bf1f7336d06cf">temp_2_n_n</a>);</div>
<div class="line"><a name="l00238"></a><span class="lineno">  238</span>&#160;    gsl_matrix_memcpy(s.<a class="code" href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">Pxk</a>, s.<a class="code" href="structekf_1_1ekf__state.html#a1a9bed9ae078cd39f59bf1f7336d06cf">temp_2_n_n</a>);</div>
<div class="line"><a name="l00239"></a><span class="lineno">  239</span>&#160;</div>
<div class="line"><a name="l00240"></a><span class="lineno">  240</span>&#160;    <span class="comment">/***********************************/</span></div>
<div class="line"><a name="l00241"></a><span class="lineno">  241</span>&#160;    <span class="comment">/***** Evolution noise update  *****/</span></div>
<div class="line"><a name="l00242"></a><span class="lineno">  242</span>&#160;    <span class="comment">/***********************************/</span></div>
<div class="line"><a name="l00243"></a><span class="lineno">  243</span>&#160;</div>
<div class="line"><a name="l00244"></a><span class="lineno">  244</span>&#160;    p.<a class="code" href="structekf_1_1ekf__param.html#a9b71dc086b83e78c78f6258ce19fafb4">evolution_noise</a>-&gt;<a class="code" href="classekf_1_1EvolutionNoise.html#aaac5a89c8474b327c8b4cf22217e220a">updateEvolutionNoise</a>(p, s);</div>
<div class="line"><a name="l00245"></a><span class="lineno">  245</span>&#160;  }</div>
<div class="line"><a name="l00246"></a><span class="lineno">  246</span>&#160;}</div>
<div class="line"><a name="l00247"></a><span class="lineno">  247</span>&#160;</div>
<div class="line"><a name="l00248"></a><span class="lineno">  248</span>&#160;<span class="preprocessor">#endif // EKF_H</span></div>
<div class="ttc" id="structekf_1_1ekf__param_html_a931255569a953be75868b7ef098ff310"><div class="ttname"><a href="structekf_1_1ekf__param.html#a931255569a953be75868b7ef098ff310">ekf::ekf_param::observation_noise</a></div><div class="ttdeci">double observation_noise</div><div class="ttdoc">Covariance of the observation noise. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:50</div></div>
<div class="ttc" id="classekf_1_1EvolutionNoise_html_aaac5a89c8474b327c8b4cf22217e220a"><div class="ttname"><a href="classekf_1_1EvolutionNoise.html#aaac5a89c8474b327c8b4cf22217e220a">ekf::EvolutionNoise::updateEvolutionNoise</a></div><div class="ttdeci">virtual void updateEvolutionNoise(ekf_param &amp;p, ekf_state &amp;s)=0</div></div>
<div class="ttc" id="structekf_1_1ekf__param_html_a1430eac7209095599a396000fc31ec8c"><div class="ttname"><a href="structekf_1_1ekf__param.html#a1430eac7209095599a396000fc31ec8c">ekf::ekf_param::no</a></div><div class="ttdeci">int no</div><div class="ttdoc">Dimension of the output. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:65</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a73bd94df09b3ffaed5e07552e1d605db"><div class="ttname"><a href="structekf_1_1ekf__state.html#a73bd94df09b3ffaed5e07552e1d605db">ekf::ekf_state::Rv</a></div><div class="ttdeci">gsl_matrix * Rv</div><div class="ttdoc">Variance covariance of the evolution noise. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:99</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_afed1bd13d00d799ebe5e3d7d7fbb51ae"><div class="ttname"><a href="structekf_1_1ekf__state.html#afed1bd13d00d799ebe5e3d7d7fbb51ae">ekf::ekf_state::ino_yk</a></div><div class="ttdeci">gsl_vector * ino_yk</div><div class="ttdoc">Current innovations. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:109</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_ac7e9f6cb1df0e658941fd38ee12712f4"><div class="ttname"><a href="structekf_1_1ekf__state.html#ac7e9f6cb1df0e658941fd38ee12712f4">ekf::ekf_state::temp_n_no</a></div><div class="ttdeci">gsl_matrix * temp_n_no</div><div class="ttdef"><b>Definition:</b> ekf_types.h:132</div></div>
<div class="ttc" id="namespaceekf_html_ad089f09f2d932343f311b16d414c1c6b"><div class="ttname"><a href="namespaceekf.html#ad089f09f2d932343f311b16d414c1c6b">ekf::ekf_free</a></div><div class="ttdeci">void ekf_free(ekf_param &amp;p, ekf_state &amp;s)</div><div class="ttdef"><b>Definition:</b> ekf.h:101</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a70ebe0b19856b1846cb3a1500478824e"><div class="ttname"><a href="structekf_1_1ekf__state.html#a70ebe0b19856b1846cb3a1500478824e">ekf::ekf_state::yk</a></div><div class="ttdeci">gsl_vector * yk</div><div class="ttdoc">Current observation. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:104</div></div>
<div class="ttc" id="structekf_1_1ekf__param_html"><div class="ttname"><a href="structekf_1_1ekf__param.html">ekf::ekf_param</a></div><div class="ttdoc">Structure holding the parameters of the statistical linearization. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:39</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html"><div class="ttname"><a href="structekf_1_1ekf__state.html">ekf::ekf_state</a></div><div class="ttdef"><b>Definition:</b> ekf_types.h:74</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_ae25dcdc684b5048c1c2d692e7d0a6c04"><div class="ttname"><a href="structekf_1_1ekf__state.html#ae25dcdc684b5048c1c2d692e7d0a6c04">ekf::ekf_state::Rn</a></div><div class="ttdeci">gsl_matrix * Rn</div><div class="ttdoc">Variance covariance of the observation noise. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:119</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_af12586ca49febf7db7c50cd1153c9e33"><div class="ttname"><a href="structekf_1_1ekf__state.html#af12586ca49febf7db7c50cd1153c9e33">ekf::ekf_state::xkm</a></div><div class="ttdeci">gsl_vector * xkm</div><div class="ttdoc">Predicted state. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:84</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a13fc45f72e07e8396866ae3796095282"><div class="ttname"><a href="structekf_1_1ekf__state.html#a13fc45f72e07e8396866ae3796095282">ekf::ekf_state::xk</a></div><div class="ttdeci">gsl_vector * xk</div><div class="ttdoc">Current estimate of the state. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:79</div></div>
<div class="ttc" id="structekf_1_1ekf__param_html_a9b71dc086b83e78c78f6258ce19fafb4"><div class="ttname"><a href="structekf_1_1ekf__param.html#a9b71dc086b83e78c78f6258ce19fafb4">ekf::ekf_param::evolution_noise</a></div><div class="ttdeci">EvolutionNoise * evolution_noise</div><div class="ttdoc">Evolution noise type. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:45</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_afe5d2d9fddcfacbfcc6e12d309771743"><div class="ttname"><a href="structekf_1_1ekf__state.html#afe5d2d9fddcfacbfcc6e12d309771743">ekf::ekf_state::temp_n_n</a></div><div class="ttdeci">gsl_matrix * temp_n_n</div><div class="ttdoc">Temporary matrices. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:129</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a48db34937430d2388e89c34a454533a3"><div class="ttname"><a href="structekf_1_1ekf__state.html#a48db34937430d2388e89c34a454533a3">ekf::ekf_state::Hyk</a></div><div class="ttdeci">gsl_matrix * Hyk</div><div class="ttdoc">Jacobian of the observation function. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:114</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a1c60d18be170aa3c2c5cf14964d18fc7"><div class="ttname"><a href="structekf_1_1ekf__state.html#a1c60d18be170aa3c2c5cf14964d18fc7">ekf::ekf_state::Kk</a></div><div class="ttdeci">gsl_matrix * Kk</div><div class="ttdoc">Kalman gain. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:124</div></div>
<div class="ttc" id="namespaceekf_html_a11045811ee6b53e5676adcb4829445de"><div class="ttname"><a href="namespaceekf.html#a11045811ee6b53e5676adcb4829445de">ekf::ekf_init</a></div><div class="ttdeci">void ekf_init(ekf_param &amp;p, ekf_state &amp;s)</div><div class="ttdef"><b>Definition:</b> ekf.h:31</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_ac7734ea76c5973de7f4e76ea8d8757d8"><div class="ttname"><a href="structekf_1_1ekf__state.html#ac7734ea76c5973de7f4e76ea8d8757d8">ekf::ekf_state::temp_no</a></div><div class="ttdeci">gsl_vector * temp_no</div><div class="ttdef"><b>Definition:</b> ekf_types.h:134</div></div>
<div class="ttc" id="namespaceekf_html_a59a2f5e87de993d4320c6c2492ab03f1"><div class="ttname"><a href="namespaceekf.html#a59a2f5e87de993d4320c6c2492ab03f1">ekf::ekf_iterate</a></div><div class="ttdeci">void ekf_iterate(ekf_param &amp;p, ekf_state &amp;s, FunctProcess f, JacobianProcess df, FunctObservation h, JacobianObservation dh, gsl_vector *yk)</div><div class="ttdef"><b>Definition:</b> ekf.h:125</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a350cc6da2951c80850bcd32de6766e36"><div class="ttname"><a href="structekf_1_1ekf__state.html#a350cc6da2951c80850bcd32de6766e36">ekf::ekf_state::temp_no_no</a></div><div class="ttdeci">gsl_matrix * temp_no_no</div><div class="ttdef"><b>Definition:</b> ekf_types.h:131</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a99c2af66b30729d245ba9e1195140323"><div class="ttname"><a href="structekf_1_1ekf__state.html#a99c2af66b30729d245ba9e1195140323">ekf::ekf_state::temp_n_1</a></div><div class="ttdeci">gsl_matrix * temp_n_1</div><div class="ttdef"><b>Definition:</b> ekf_types.h:130</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_aee938384595b322d411277e1dda54d2e"><div class="ttname"><a href="structekf_1_1ekf__state.html#aee938384595b322d411277e1dda54d2e">ekf::ekf_state::Fxk</a></div><div class="ttdeci">gsl_matrix * Fxk</div><div class="ttdoc">Jacobian of the evolution function. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:94</div></div>
<div class="ttc" id="structekf_1_1ekf__param_html_afc3c7b95fe943c99c49e7b0c5703de68"><div class="ttname"><a href="structekf_1_1ekf__param.html#afc3c7b95fe943c99c49e7b0c5703de68">ekf::ekf_param::prior_pk</a></div><div class="ttdeci">double prior_pk</div><div class="ttdoc">Prior estimate of the covariance matrix. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:55</div></div>
<div class="ttc" id="classekf_1_1EvolutionNoise_html_a9513f65f9a322f8ffcbf2c568526dd15"><div class="ttname"><a href="classekf_1_1EvolutionNoise.html#a9513f65f9a322f8ffcbf2c568526dd15">ekf::EvolutionNoise::init</a></div><div class="ttdeci">void init(ekf_param &amp;p, ekf_state &amp;s)</div><div class="ttdef"><b>Definition:</b> ekf_types.h:154</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_ab7e6965a9cd8b85424f9a0f1aedc2fb7"><div class="ttname"><a href="structekf_1_1ekf__state.html#ab7e6965a9cd8b85424f9a0f1aedc2fb7">ekf::ekf_state::Pxk</a></div><div class="ttdeci">gsl_matrix * Pxk</div><div class="ttdoc">Variance-Covariance of the state. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:89</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_a1a9bed9ae078cd39f59bf1f7336d06cf"><div class="ttname"><a href="structekf_1_1ekf__state.html#a1a9bed9ae078cd39f59bf1f7336d06cf">ekf::ekf_state::temp_2_n_n</a></div><div class="ttdeci">gsl_matrix * temp_2_n_n</div><div class="ttdef"><b>Definition:</b> ekf_types.h:133</div></div>
<div class="ttc" id="structekf_1_1ekf__param_html_a1246cf99fd3c8a31199c74c2ebc96574"><div class="ttname"><a href="structekf_1_1ekf__param.html#a1246cf99fd3c8a31199c74c2ebc96574">ekf::ekf_param::n</a></div><div class="ttdeci">int n</div><div class="ttdoc">Number of parameters to estimate. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:60</div></div>
<div class="ttc" id="ekf__types_8h_html"><div class="ttname"><a href="ekf__types_8h.html">ekf_types.h</a></div></div>
<div class="ttc" id="structekf_1_1ekf__param_html_a8e3a67547cde4646e17689a669fb25bc"><div class="ttname"><a href="structekf_1_1ekf__param.html#a8e3a67547cde4646e17689a669fb25bc">ekf::ekf_param::observation_gradient_is_diagonal</a></div><div class="ttdeci">bool observation_gradient_is_diagonal</div><div class="ttdoc">Is the observation gradient diagonal ? In that case, simplifications can be introduced. </div><div class="ttdef"><b>Definition:</b> ekf_types.h:70</div></div>
<div class="ttc" id="structekf_1_1ekf__state_html_abe2839dd3805e4dd56c613227788606f"><div class="ttname"><a href="structekf_1_1ekf__state.html#abe2839dd3805e4dd56c613227788606f">ekf::ekf_state::params</a></div><div class="ttdeci">gsl_vector * params</div><div class="ttdoc">Optional parameters (this must be allocated and initialized from the user side! </div><div class="ttdef"><b>Definition:</b> ekf_types.h:139</div></div>
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